Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0845 |
| Annualized Std Dev | 0.2640 |
| Annualized Sharpe (Rf=0%) | -0.3202 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3393.0000 |
| NAs | 1.0000 |
| Minimum | -0.1824 |
| Quartile 1 | -0.0068 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0073 |
| Maximum | 0.2075 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | -0.3890 |
| Kurtosis | 19.5253 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0123 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0124 |
| Downside Deviation (0%) | 0.0124 |
| Maximum Drawdown | 0.8108 |
| Historical VaR (95%) | -0.0239 |
| Historical ES (95%) | -0.0420 |
| Modified VaR (95%) | -0.0228 |
| Modified ES (95%) | -0.0228 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-01 | 2020-03-23 | NA | -0.8108 | 3392 | 3141 | NA |
| 2007-09-27 | 2007-09-27 | 2007-09-28 | -0.0074 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | -2 | -1 | 4.3 | -0.4 | 0.8 |
| 2008 | -0.9 | -3.5 | 3.6 | 0.4 | 0.9 | -0.1 | -0.3 | 0.1 | 4.7 | 1.8 | -5.8 | 2.7 | 3.3 |
| 2009 | 0 | -3.9 | 0.6 | 2.1 | 2 | 2 | 2.7 | -1.8 | 0.4 | -3.1 | -0.5 | 1.1 | 1.4 |
| 2010 | 0.9 | 1.7 | -1.2 | -1.3 | -1.4 | -1.3 | 0.9 | 2.5 | 0.5 | 1.3 | 0.8 | -1 | 2.4 |
| 2011 | 2 | 0.7 | -1.3 | 0.8 | 0.7 | 0.8 | 0.8 | 0.7 | -2.8 | -0.4 | 1.3 | 0.5 | 3.7 |
| 2012 | -2.3 | 0.2 | 2 | 2.4 | -1.4 | 1.8 | 0.2 | 1.2 | 0.1 | 2.5 | 0.8 | 1.5 | 9.3 |
| 2013 | -0.2 | 0.8 | 0.3 | -0.6 | 0.4 | 1.1 | 0.5 | -0.7 | 0.6 | 2.5 | -1 | 0.1 | 3.8 |
| 2014 | 1.6 | -1.2 | -2.1 | -0.4 | 0.2 | -1.2 | -0.6 | -0.9 | 0.4 | 0.5 | -0.7 | -1.2 | -5.6 |
| 2015 | 0.9 | 0.3 | 0.3 | -1.4 | -0.9 | 0.5 | -0.1 | -2.3 | 0.6 | 1 | 1.9 | 1.9 | 2.6 |
| 2016 | 3 | 1.1 | 0.6 | -1.7 | -0.5 | 2.6 | -0.6 | 0.6 | 1.2 | -0.5 | -1.4 | -0.8 | 3.6 |
| 2017 | -1.1 | 0.2 | 0.9 | -0.8 | 0 | 0.2 | -0.3 | -0.1 | -0.1 | -0.8 | 0.9 | 0.2 | -0.8 |
| 2018 | -0.5 | 0 | -1.1 | 0.2 | 0.6 | 0.9 | 0.2 | -0.1 | -0.7 | 0.6 | 0.4 | 2.5 | 2.9 |
| 2019 | 0.4 | -0.1 | 1.2 | 0.4 | -1.9 | 0.4 | -0.6 | -0.6 | -1 | 0.1 | 0 | 1.4 | -0.2 |
| 2020 | -1.4 | -6 | -4.6 | -1.7 | 0.2 | 1.3 | -0.2 | -0.7 | 0.4 | -2.5 | 1.6 | 0.4 | -12.6 |
| 2021 | 1.3 | 0.9 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-09-26 20.2 SPY 152. 0.0053 -0.0076 0.0357 0.0119 0.149 0.365 0.849 GLD 72 -0.0046 8.00e-3
2 2007-09-27 20.0 SPY 153. 0.0059 0.0053 0.0652 0.018 0.146 0.382 0.815 GLD 72.7 0.0097 -3.00e-4
3 2007-09-28 20.4 SPY 153. -0.0033 0.004 0.0412 0.0143 0.141 0.371 0.780 GLD 73.5 0.0111 1.62e-2
4 2007-10-01 20 SPY 154. 0.0113 0.0172 0.0558 0.0165 0.154 0.380 0.865 GLD 73.9 0.0053 2.24e-2
5 2007-10-02 20.1 SPY 154. -0.0014 0.0178 0.044 0.0115 0.154 0.379 0.884 GLD 72.4 -0.021 3.00e-4
6 2007-10-03 20 SPY 154. -0.002 0.0104 0.0315 0.0105 0.156 0.353 0.794 GLD 71.9 -0.0062 -1.40e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
